Head out of Tel Mithryn and follow the wizard. Don't worry if you run across some monsters on your way - Neloth is powerful enough to deal with most of them using one or two spells. The journey should therefore go smoothly. As you reach Nchardak (a small island at the eastern edge of Solstheim), be ready for a fight - the location is inhabited by Bandits.
You rather won't be able to avoid a direct fight - even if you prefer a silent approach (by sneaking and assassinating them), Neloth will charge and smash them to pieces. He's immortal, so you don't have to worry about him.
Eventually you should reach a large gate which leads to the casemates of Nchardak. Beside the entrance there's a peculiar panel into which you have to put the Control Cube. Luckily your companion has such a device, so you will be able to enter.